Robust price bounds for the forward starting straddle
In this article we consider the problem of giving a robust, model-independent, lower bound on the price of a forward starting straddle with payoff $|F_{T_1} - F_{T_0}|$ where $0
| Автори: | , |
|---|---|
| Формат: | Journal article |
| Мова: | English |
| Опубліковано: |
Springer Berlin Heidelberg
2015
|
| Резюме: | In this article we consider the problem of giving a robust, model-independent, lower bound on the price of a forward starting straddle with payoff $|F_{T_1} - F_{T_0}|$ where $0 |
|---|